Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility

In this final year project, we further study the dynamic mean-variance problem with constrained risk control on reinsurance and investment (no-shorting) strategy for insurers with unknown expected terminal wealth. This project will fi rst solve the problem under traditional Black-Scholes model, whe...

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Bibliographic Details
Main Author: Sun, Jingya
Other Authors: PUN Chi Seng
Format: Final Year Project (FYP)
Language:English
Published: Nanyang Technological University 2021
Subjects:
Online Access:https://hdl.handle.net/10356/146121